Tsai, Ming-Shann; Liao, Szu-Lang; Chiang, Shu-Ling - In: Journal of Housing Economics 18 (2009) 2, pp. 92-103
In this article, we construct a general model, which considers the borrower's financial and non-financial termination behavior, to derive the closed-form formula of the mortgage value for analyzing the yield, duration and convexity of the risky mortgage. Since the risks of prepayment and default...